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  • Data Type: Quotes Remove
  • Data Type: Skew Remove
  • Data Type: Volume Summary Remove

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Our end-of-day option quotes file actually provides two snapshots of market quote and size, one at 15:45 and another at the market close (market closing time is product dependent). Summary trading data is also included in the files. The first, last, lowest and highest trade in every series, as well as, the total volume, VWAP and open interest.
Our end-of-day option quotes with Calcs file provides all of the fields in the end-of-day Option quotes file plus market implied volatility for each option, as well as, the greeks (Delta, Gamma, Theta, Vega and Rho). Implied volatility and Greeks are calculated off of the 1545 timestamp, since it is considered a more accurate snapshot of market liquidity than the end of day market.
Volatility skew data allows users to analyze relative option pricing levels over time series by comparing “virtual” option strikes with identical time to maturity and levels relative to spot. Our Volatility Skew files show the implied volatility levels of virtual options expiring at constant maturities, with option strikes defined by either moneyness (% from spot) or by option delta. These files allow for more appropriate comparison of implied volatility levels over time. LiveVol volatility skew data is provided with either moneyness increments (5% steps from spot from 0-60%, with additional values at 2.5% from spot) or delta increments (5 delta increments for both calls and puts). Standard maturity periods range from 30 to 360 calendar days. An auxiliary set of skew index data will be provided with each purchase. Skew indexes represent a measure of option skew by symbol and maturity for a particular day. Delta skew data is used to generate the skew index metrics: for example, SKEW90 represents the (IV of 25 delta put – IV of 25 delta call)/(50 delta call IV) for virtual options expiring in 90 days.
Open-Close data is a volume summary file of trading activity on the Cboe C1 exchange (does not include activity from C2, BZX, or EDGEX) that summarizes the volume (contracts traded) by origin (customer and firm orders only), original order size and the opening or closing position of the order. The Open-Close volume is further broken into categories of buy/sell, open/close and order size "buckets". The data for all Cboe (C1) securities goes back to 1990 and contains all series in an underlying security's chain-if it has volume. The Open-Close data is available as a data download by individual underlying symbols, or as a daily update that includes all Cboe (C1) traded options for the previous trade day's data going forward, and as bulk data that includes all Cboe (C1) traded securities for the time frame chosen. Click here for Open-Close pricing.
Select your own custom interval from 1 minute to End-of-day, NBBO market quote and size are captured in every snapshot along with open, high, low, close and trading volume. In addition to NBBO markets, the BBO of each individual exchange is included in the data set. Underlying bid and ask prices are included at it interval for your reference.
Select your own custom interval from 1 minute to End-of-day, NBBO market quote and size are captured in every snapshot along with open, high, low, close and trading volume. The intervals with calcs data set includes midpoint implied volatility, Delta, Gamma, Theta, Vega and Rho at each interval. Underlying bid and ask prices are included at it interval for your reference.
Optsum data is an end of day index option summary for CBOE traded options in ^SPX, ^OEX, and ^VIX with volume traded, open interest, open, high low and last sales prices for every series in chain. The Optsum data is available as far back as 1990 or based on the index option availability in ^SPX, ^OEX, and ^VIX. *For a similar product for all securities with equity and index options, please see the End-of-Day Option Quotes Data offering.